Estimation and Prediction Methods for High-Dimensional Mixed
Frequency Time Series Data
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Documentation for package ‘midasml’ version 0.1.10
Help Pages
| midasml-package | midasml |
| alfred_vintages | ALFRED monthly and quarterly series vintages |
| cv.panel.sglfit | Cross-validation fit for panel sg-LASSO |
| cv.sglfit | Cross-validation fit for sg-LASSO |
| dateMatch | Match dates |
| gb | Gegenbauer polynomials shifted to [a,b] |
| ic.panel.sglfit | Information criteria fit for panel sg-LASSO |
| ic.sglfit | Information criteria fit for sg-LASSO |
| lb | Legendre polynomials shifted to [a,b] |
| market_ret | SNP500 returns |
| midas.ardl | MIDAS regression |
| midasml | midasml |
| mixed_freq_data | MIDAS data structure |
| mixed_freq_data_single | MIDAS data structure |
| monthBegin | Beginning of the month date |
| monthEnd | End of the month date |
| predict.cv.panel.sglfit | Computes prediction |
| predict.cv.sglfit | Computes prediction |
| predict.ic.panel.sglfit | Computes prediction |
| predict.ic.sglfit | Computes prediction |
| predict.sglpath | Computes prediction |
| reg.panel.sgl | Regression fit for panel sg-LASSO |
| reg.sgl | Fit for sg-LASSO regression |
| rgdp_dates | Real GDP release dates |
| rgdp_vintages | Real GDP vintages |
| sglfit | Fits sg-LASSO regression |
| thetafit | Nodewise LASSO regressions to fit the precision matrix Theta |
| tscv.sglfit | Time series cross-validation fit for sg-LASSO |
| us_rgdp | US real GDP data with several high-frequency predictors |